A man has been shot in the arm in a drive-by shooting outside an adult entertainment venue in Melbourne.

Police said a number of shots were fired into the Southbank venue early on Monday morning, hitting a staff member in the arm.

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He remains in The Alfred Hospital with non-life threatening injuries, after the alleged incident at 2am on Monday morning. 

The car, which police believe had been stolen, was later found alight at a nearby intersection, according to reports.

It was reported the man shot was a security guard, according to 3AW.

A front window and the foyer area of the Kittens strip club were hit by shotgun pellets.

– with AAP